The CRW for any CR Exposure in the bank asset class that does not have an external credit assessment by a recognised external credit rating agency must be the risk weight determined in accordance with the table in
[PIB Rule 4.12.10] or the risk weight that is applicable to an CR Exposure to the central government of the jurisdiction in which the banking institution is incorporated or established, whichever is higher. If a short-term CR Exposure in the bank asset class with an issue-specific external credit assessment:
(a) attracts a risk weight of 50% or 100%, then the Authorised Firm must apply a risk weight of not lower than 100% to any unrated short-term CR Exposure to the same banking institution; or
(b) attracts a risk weight of 150%, then the Authorised Firm must apply a risk weight of 150% to any unrated CR Exposure (whether long-term or short-term) to the same banking institution.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]